IDEAS home Printed from https://ideas.repec.org/p/cpb/discus/359.html
   My bibliography  Save this paper

Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints

Author

Listed:
  • Joris de Wind

Abstract

In this paper, I present a novel implementation of the exact nonlinear and non-Gaussian Kalman smoother that can also deal with implicit functions in the measurement and/or state equations as well as equality constraints. Read the accompanying paper CPB Discussion Paper 360. My approach has the additional advantage that it can be fully automated, on the basis of which I have developed a toolbox that can handle a wide class of discrete-time state space models. The toolbox is documented in an accompanying paper, while the technical details are presented in the current one.

Suggested Citation

  • Joris de Wind, 2017. "Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints," CPB Discussion Paper 359, CPB Netherlands Bureau for Economic Policy Analysis.
    • Handle: RePEc:cpb:discus:359
    as

    Download full text from publisher

    File URL: https://www.cpb.nl/sites/default/files/omnidownload/CPB-Discussion-Paper-359-Exact-Nonlinear-and-Non-Gaussian-Kalman-Smoother.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Peter Hollinger, "undated". "The Stacked-Time Simulator in TROLL: A Robust Algorithm for Solving Forward-Looking Models," Computing in Economics and Finance 1996 _026, Society for Computational Economics.
    2. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360, CPB Netherlands Bureau for Economic Policy Analysis.
    3. Juillard, Michel, 1996. "Dynare : a program for the resolution and simulation of dynamic models with forward variables through the use of a relaxation algorithm," CEPREMAP Working Papers (Couverture Orange) 9602, CEPREMAP.
    4. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360.rdf, CPB Netherlands Bureau for Economic Policy Analysis.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Joris de Wind, 2017. "Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints," CPB Discussion Paper 359.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Juillard, Michel & Laxton, Douglas & McAdam, Peter & Pioro, Hope, 1998. "An algorithm competition: First-order iterations versus Newton-based techniques," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1291-1318, August.
    3. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360, CPB Netherlands Bureau for Economic Policy Analysis.
    4. Peter Hollinger, 2000. "Beyond Newton: Robust Methods For Solving Large Nonlinear Models In Troll," Computing in Economics and Finance 2000 308, Society for Computational Economics.
    5. Richard Pierse, 2006. "Terminal conditions in forward-looking economic models," School of Economics Discussion Papers 1006, School of Economics, University of Surrey.
    6. Joris de Wind, 2017. "SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother," CPB Discussion Paper 360.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    7. Douglas Laxton, 2008. "Getting to Know the Global Economy Model and Its Philosophy," IMF Staff Papers, Palgrave Macmillan, vol. 55(2), pages 213-242, June.
    8. Gomes, Sandra, 2018. "Euro area structural reforms in times of a global crisis," Journal of Macroeconomics, Elsevier, vol. 55(C), pages 28-45.
    9. Richard Pierse, 2006. "Optimal control in nonlinear models: a generalised Gauss-Newton algorithm with analytic derivatives," School of Economics Discussion Papers 0906, School of Economics, University of Surrey.
    10. Flint Brayton, 2011. "Two practical algorithms for solving rational expectations models," Finance and Economics Discussion Series 2011-44, Board of Governors of the Federal Reserve System (U.S.).
    11. Luca Marchiori & I-Ling Shen & Frédéric Docquier, 2013. "Brain Drain In Globalization: A General Equilibrium Analysis From The Sending Countries' Perspective," Economic Inquiry, Western Economic Association International, vol. 51(2), pages 1582-1602, April.
    12. John Bound & Breno Braga & Joseph M. Golden & Gaurav Khanna, 2015. "Recruitment of Foreigners in the Market for Computer Scientists in the United States," Journal of Labor Economics, University of Chicago Press, vol. 33(S1), pages 187-223.
    13. Tobias Cwik, 2012. "Fiscal consolidation using the example of Germany," Finance and Economics Discussion Series 2012-80, Board of Governors of the Federal Reserve System (U.S.).
    14. de la Croix, David & Docquier, Frederic & Liegeois, Philippe, 2007. "Income growth in the 21st century: Forecasts with an overlapping generations model," International Journal of Forecasting, Elsevier, vol. 23(4), pages 621-635.
    15. Cook, David & Devereux, Michael B., 2006. "External currency pricing and the East Asian crisis," Journal of International Economics, Elsevier, vol. 69(1), pages 37-63, June.
    16. Freddy Heylen & Renaat Van de Kerckhove, 2014. "Heterogeneous ability and the effects of fiscal policy on employment, income and welfare in general equilibrium," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 14/898, Ghent University, Faculty of Economics and Business Administration.
    17. Michael Funke & Raphael Terasa, 2020. "Will Germany's Temporary VAT Tax Rates Cut as Part of the Covid-19 Fiscal Stimulus Package Boost Consumption and Growth?," CESifo Working Paper Series 8765, CESifo.
    18. Andrei Polbin & Sergey Drobyshevsky, 2014. "Developing a Dynamic Stochastic Model of General Equilibrium for the Russian Economy," Research Paper Series, Gaidar Institute for Economic Policy, issue 166P, pages 156-156.
    19. Ajevskis Viktors, 2017. "Semi-global solutions to DSGE models: perturbation around a deterministic path," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-28, April.
    20. Aloui, Rym & Eyquem, Aurélien, 2019. "Spending multipliers with distortionary taxes: Does the level of public debt matter?," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 275-293.

    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • J64 - Labor and Demographic Economics - - Mobility, Unemployment, Vacancies, and Immigrant Workers - - - Unemployment: Models, Duration, Incidence, and Job Search

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cpb:discus:359. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/cpbgvnl.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.